平均真实波动带

真实波动幅度均值 (Average True Range, ATR）在美国威尔德（Welles Wilder JR.）1978年出版的《技术交易系统新概念》一书中首次介绍。Wilder根据ATR开发了基于趋势的震荡止损，随后演变为真实波动幅度追踪止损，但是这些有两大弱点：

• 在上升趋势中，如果ATR值扩大，那么止损会向下移动。我对这点很不满意：止损应该按照趋势方向移动。
• 停损点转向机制假定你的多头头寸被止损后便开立空头头寸，反之亦然。而经常发生的情况是，交易者在趋势中被过早的止损，并想按照之前的方向继续建立头寸。
平均真实波动带（Average True Range Bands）解决了上述两个弱点。止损只会随着趋势方向移动，并且当价格越过止损水平线时不假设趋势改变。

平均真实波动带信号

平仓信号：
• 当价格穿过平均真实波动带的下方后，多头头寸平仓。
• 当价格穿过平均真实波动带的上方后，空头头寸平仓。
当与趋势过滤指标结合后，平均真实波动带可以突破性的被用于确定开仓信号。对立的两条线相交也可以用来保护你的盈利。

示例：

RJ CRB商品指数在2008年下半年的下降趋势以及平均真实波动带指标（31日，3ATR，收盘价），以及用作趋势过滤指标的63日指数移动平均线。

1. 在[S] 处做空：价格收于63指数日移动平均线以及平均真实波动带下方。
2. 在[X]处平仓：收盘价位于平均真实波动带上方。
3. 在 [S]处做空：收盘价位于平均真实波动带下方。
4. 在[X]处平仓：收盘价位于平均真实波动带上方。
5. 在 [S]处做空：收盘价位于平均真实波动带下方。
6. 在[X]处平仓：收盘价位于平均真实波动带上方。
当价格位于63日指数移动平均线下方时不建议做多，同样，价格位于63日指数移动平均线上方不建议做空。

平均真实波动带参数设置

有下列两种选择：
• 收盘价：平均真实波动带基于收盘价；
• 最高价和最低价：平均真实波动带基于最高价和最低价。
ATR默认的时间周期是21日，3倍ATR值。短期交易的正常范围是2，长线交易的正常范围是5.低于3倍ATR通常会产生错误信号。

平均真实波动带公式

下面是一个简要的介绍：
• ATR是根据Wilder 公式计算得出。
• 波动带是根据ATR的日收盘价加上/减去3倍ATR值得出。
• 对于基于最高价和最低价的ATR值，日最低价加上3倍ATR值，最高价减去3倍ATR值。
• 棘轮原理确保上升趋势中，波动带的上边缘只会向上移动；下降趋势中，波动带的上边缘只向下移动。
• 提前一天绘出（比如，第二天的止损价会根据当日的收盘价决定。）

Average True Range (ATR) Bands
Average True Range was introduced by J. Welles Wilder in his 1978 book New Concepts In Technical Trading Systems. ATR is explained in greater detail at Average True Range. Wilder developed trend-following Volatility Stops based on average true range, which subsequently evolved into Average True Range Trailing Stops, but these have two major weaknesses:
• Stops move downwards during an up-trend if Average True Range widens.
I am uncomfortable with this: stops should only move in the direction of the trend.
• The Stop-and-Reverse mechanism assumes that you switch to a short position when stopped out of a long position, and vice versa. All too frequently, traders are stopped out early when following a trend and wish to re-enter in the same direction as their previous trade.
Average True Range Bands address both these weaknesses. Stops only move in the direction of the trend and do not assume that the trend has reversed when price crosses the stop level.
Average True Range Band Signals
Signals are used for exits:
• Exit a long position when price crosses below the lower Average True Range Band.
• Exit a short position when price crosses above the upper Average True Range Band.
While unconventional, the bands can be used to signal entries — when used in conjunction with a trend filter. A cross of the opposite band can also be used as a signal to protect your profits.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Average True Range Bands (21 days, 3xATR, Closing Price) and 63-day exponential moving average used as a trend filter.
1. Go short [S] when price closes below the 63-day exponential moving average and the lower band
2. Exit [X] when price closes above the upper band
3. Go short [S] when price closes below the lower band
4. Exit [X] when price closes above the upper band
5. Go short [S] when price closes below the lower band
6. Exit [X] when price closes above the upper band
No long positions are taken when price is below the 63-day exponential moving average, nor short positions when above the 63-day exponential moving average.
 
ATR Bands Setup
There are two options available:
• Closing Price: ATR Bands are plotted around the closing price.
• HighLow: Bands are plotted in relation to high and low prices, like Chandelier Exits.
The ATR time period default is 21 days, with multiples set at a default of 3 x ATR. The normal range is 2, for very short-term, to 5 for long-term trades. Multiples below 3 are prone to whipsaws.
See Indicator Panel for directions on how to set up an indicator.
Average True Range Bands Formula
Here is a brief outline:
• Average True Range is calculated in accordance with J. Welles Wilder's formula.
• The bands are calculated by adding/subtracting a multiple of Average True Range to the daily closing price.
• For the HighLow option, the multiple of ATR is added to the daily Low, and subtracted from the daily High.
• A ratchet mechanism ensures that the lower band only moves up in an up-trend and the upper band only moves down in a down-trend.
• Plots are projected one day forward (e.g. the stop caculated from today's closing price is plotted for tomorrow)

本文翻译由兄弟财经提供

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